signal source of what’s coming from Performer is set in the Performer Mixer channels at the top, faders control what performer hears and record items control what you hear and record. Sync should just work but don’t use track monitor, it is delayed. You hear the performer at the main output (control room), if you use headphones you may have to move the VST Connect Monitor plugin to the headphone section.
Take a look at https://connectvst.com/ for more in-depth explanations. If that still doesn’t get you going feel free to ask specific questions. Step-by-step instructions are simple enough: create an empty Cubase project, apply “Create VST Connect” and you should be ready to go. Of course you may need to set up Performer audio connections as said before (tiny items at top of the channels).